Mean Reversion Strategy Journal

Status
Not open for further replies.
Overnight said:
You claim that your system works on all instruments, including futures. Have you tried it on RB and LE?
More...

No I haven't tried it on those futures contracts, I just tried back testing them and it didn't show any results possibly due to needing paid data which I don't have as I'm a stock trader. Also I don't claim my indicators work blindly on every instrument, some filtering is always needed, just that the indicators work on every chart inside TradingView you look at and every market oscillates between trending and ranging so the principals are always the same.
 
Last edited:
deaddog said:
How did your back test do in the covid panic?
More...

Yes there were losses during the covid bear market like all long-only stock strategies, however the way I'm trading in this journal using discretion I can't back test that and my strategy performance will always have strong short term correlation to the overall market, but the idea is to beat the S&P 500 index over time, and that's why it's my benchmark on a yearly basis as I don't expect to make a profit every month.
 
Nice job. I believe it works, as I trade a few similar ideas, except I blindly take all the signals with zero discretion, muahaha. You should try a more detailed backtest on this, over a larger universe with no selection bias, over a longer period of time, and consider fully automating this. I imagine it would do ok.
 
StockChartist said:
No I haven't tried it on those futures contracts, I just tried back testing them and it didn't show any results possibly due to needing paid data which I don't have as I'm a stock trader. Also I don't claim my indicators work blindly on every instrument, some filtering is always needed, just that the indicators...
More...

Lucy, you have some 'splaining to do!

buysellbandlie.JPG
 
Last edited:
Overnight said:
Lucy, you have some 'splaining to do!

View attachment 271782
More...

The thing here, dude, is it is all about presentation. You have made a major contradiction. You say your indicators work on EVERYTHING on your website, but then told me to my face that they work on only some things. So which is it?

Hunker down, because something does not smell right here.

 
PursuitOfEdge said:
Nice job. I believe it works, as I trade a few similar ideas, except I blindly take all the signals with zero discretion, muahaha. You should try a more detailed backtest on this, over a larger universe with no selection bias, over a longer period of time, and consider fully automating this. I imagine it would do ok.
More...

Thanks, and yes you may be right and I'm currently trying to back test more of my filters, but it's easier said than done as I'm looking at quite a few things before taking a trade. Plus I think I can improve results with my discretion, for example a very high valuation stock that's been consolidating for several months and starting to dip down wouldn't be a trade I would want to be in as I believe there's more downside risk than say $WMT on a similar technical setup.
 
Overnight said:
The thing here, dude, is it is all about presentation. You have made a major contradiction. You say your indicators work on EVERYTHING on your website, but then told me to my face that they work on only some things. So which is it?

Hunker down, because something does not smell right here.

More...

Haha looks like we've got a detective here and you really spent the time to find a special Youtube video for me?? thanks for that.. and since we're splitting hairs the wording on my site reads "you can easily add our indicators to any chart of any instrument" meaning it doesn't just work on stocks, and yes with the right filters my indicators can be used on any asset. Thanks for taking the time to investigate my website and double check on my wording, is there anything else I should be aware of?
 
FWIW, I do something very similar trading Micro E-Minis S&P on the daily time frame and it is quite profitable.
 
StockChartist said:
Yes there were losses during the covid bear market like all long-only stock strategies, however the way I'm trading in this journal using discretion I can't back test that and my strategy performance will always have strong short term correlation to the overall market, but the idea is to beat the S&P 500 index over time, and that's why it's my benchmark on a yearly basis as I don't expect to make a profit every month.
More...
Interesting system. My priority is capital preservation so I stay away from strategies that will suffer in a prolonged bear market.

I'm curious about the extent of the drawdown. Beating the S&P index isn't worth much if you only drop 25% when the index drops 30.

I trade a long only momo strategy with tight stops and only had minimal drawdowns. I was pretty well in cash during march of 2020.


Diversification isn't going to help much if the total portfolio is in stocks. When the market panics all stocks retreat. Not having a process to exit non performing stocks limits the effectiveness of your capital. I would think you will eventually reach a point where the majority of the portfolio is non performing.
 
Status
Not open for further replies.
Back
Top